This dissertation looks at asset pricing across asset classes. The first chapter develops a new model for modeling the term structure of interest rates. Economic time-series are susceptible to infrequent but severe structural breaks that stem from banking crises, changes in government policy or shifts in consumer confidence. I present an affine, arbitrage-free, regime-switching dynamic Nelson-Siegel model of the term structure that identifies structural breaks. I develop the model in continuous time and present a class of general affine hidden Markov models of the term structure. We highlight the assumptions that are necessary to reach tractable versions in this class such as the Dai, Singleton and Yang (2007) model and the arbitrage-free regime-switching Nelson and Siegel model. We estimate an arbitrage-free hidden Markov Nelson Siegel model on historical yield curve data via a multi-regime approximate Kalman filter. Using likelihood ratio tests, we show that regimes are driven by long term means, mean reversions, measurement and transition covariance matrices. The regimes conform to periods of expansionary and restrictive monetary policy, but do not coincide exactly with recessions. Our regimes capture the NBER recession dates, but persist long after the recessions have ended. Chapter two shows empirical evidence to motivate the value premium using Merton's ICAPM. Several authors have addressed the possibility that within the context of Merton's ICAPM, the value premium might proxy for the variation in investment opportunities. I shows that (1) the book-to-market ratio is inversely related to the expected profitability of assets in place and to the expected market returns, (2) the value premium is contemporaneously correlated to shocks to the aggregate book-to-market ratio, (3) the usefulness of the value premium as a pricing factor depends on the level of noise in asset prices, (4) the loadings on the value premium is countercyclical, (5) the liquidity of physical capital is an important determinant of the value premium and (6) a volatility based long-short portfolio performs as well as the value premium in an ICAPM setting. Chapter three focuses on volatility and shows that jump risk is a significant contemporaneous risk factor and an important component of cross-sectional pricing. Stocks that provide a hedge against ex ante pure jump risk have lower expected returns than firms that perform poorly when jump risk is high. Volatility risk contains important information about subsequent realized volatility that is robust to other market volatility proxies such as VIX. I present evidence that pure volatility risk is not significantly priced after jump risk has been decomposed from it. Finally, I show that volatility risk is closely related to the value premium.

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